【作者】 刘璐；

【导师】 周再清； 欧阳国良；

【作者基本信息】 湖南大学 ， 金融管理（专业学位）， 2019， 硕士

【摘要】 2018年资管新规明确要求金融机构应向投资者传递“买者自负”的理念,资管业务明令禁止刚性兑付。近些年银行理财市场快速发展,具有庞大理财客户群体和存续规模。与此同时,理财产品的刚性兑付使风险在银行体系内不断积聚,加剧了金融系统的脆弱性。因此,研究理财产品刚性兑付与我国商业银行风险承担的关系,以及如何防范和化解刚性兑付下银行理财产品所带来的风险,具有现实意义。本文首先系统梳理了关于理财产品的刚性兑付问题、银行理财产品风险和理财产品收益的刚性兑付对银行风险承担影响的现有文献。然后,深入探究了理财产品的刚性兑付对银行风险承担影响的作用机制。最后,搜集整理上市商业银行的相关数据,分别从利益搜寻效应、预期效应和规模效应三个维度实证检验理财产品的刚性兑付对银行风险承担的影响。本文研究样本基于24家上市商业银行相关数据,采用系统广义矩估计GMM方法实证检验了利益搜寻效应、预期效应和规模效应与银行风险承担的关系。根据对2010-2017年间24家上市商业银行样本数据的实证检验分析,得出结论如下:(1)银行理财产品到期收益率的上升与银行风险承担的影响存在显著正相关关系。即刚性兑付通过理财产品利益搜寻效应加重了银行风险承担。(2)通过对理财产品预期收益率变化的实证研究表明,理财产品预期效应对银行风险承担的影响显著为正,即刚性兑付通过理财产品预期效应会加重银行风险承担。(3)根据理财产品规模变化的实证分析发现,理财产品规模效应对银行风险承担影响虽未通过显著性检验,但理财产品规模上升对商业银行风险承担影响的系数为正,说明刚性兑付加剧了理财规模的扩张加重了银行的风险承担。依据上述实证结果,本文提出了关于如何防范和破解刚性兑付背景下银行理财产品风险的对策建议以及银行理财产品未来的发展方向和趋势,以期促进银行理财产品的长远健康发展。更多还原

【Abstract】 "Breaking rigid payment" is clearly stipulated in the introduction of the new regulation in March 2018,the new rules explicitly require financial institutions to convey to investors the "seller’s due diligence,buyers conceited" concept,asset management business must not promise to protect capital,ensure income,break the "rigid payment",One of the most affected asset management products is undoubtedly the original risk rating is mostly lower bank financial products.This shows that the rapid development of the banking financial market at the same time,the risk of agglomeration is becoming increasingly prominent,in which the so-called "rigid payment",the impact of bank risk bearing can not be ignored.Therefore,it is necessary to deeply study the relationship between the rigid payment of financial products and the risk bearing of China’s banks,and how to prevent and resolve the risks brought by the rigid payment of bank financial products,and promote the smooth and healthy development of the banking industry.On the basis of systematic combing of rigid payment,financial product income and bank risk undertaking,this paper probes into the influence mechanism and action path of the rigid payment of financial product income on bank risk undertaking.On this basis,using the relevant data of the bank,the relationship between financial products and bank risk taking is characterized by three angles,such as the benefit search effect,expected effect and scale effect of financial products under the background of rigid payment.Based on the panel data of 24 listed banks,this paper empirically examines the relationship between interest search effect,expected effect and scale effect and bank risk taking by using the system generalized moment estimation GMM method.Based on the empirical analysis of dynamic panel data of 24 listed banks in 2010-2017,the conclusions are as follows:(1)There is a significant positive correlation between the interest search effect of financial products and the risk undertaking of banks.The rise in the maturing yield of bank financial products will lead to an increase in bank risk taking.(2)Through the study of the changes in the expected rate of return of financial products,it is found that the expected effect of financial products under the background of rigid payment exacerbates the risk commitment of banks.(3)Through the study of the change of financial product scale,it is found that the change of financial product scale has no significant impact on bank risk undertaking,and has not passed the significance test,but the increase of financial management scale usually leads to the increase of bank risk commitment.It shows that the problem of "rigid payment" of financial products,which appears on the condition of having the ability to pay,"infects" the risk of financial products to the Commercial Bank table,thus increasing the risk commitment of banks.According to the conclusion of the above empirical analysis,this paper puts forward some relevant policy suggestions on how to prevent and crack the risk of bank financial products under the background of rigid payment,in order to provide reference for the stable and long-term development of banking industry.更多还原